I have some books in LIT format. I want to read them in MobiPocket format, so I use ABC converter to convert them. It would be really useful to have an application able to automatically links from the index page to the various chapters.
Does such an application exist?

You should be using ConvertLIT to explode the LIT file and Mobipocket Creator to put it back together. The file you need that lets MobiCreator do everything for you has a tag of OPF. Find it, open it with MobiCreator, and make the ebook.